Table REF  shows the resulting test statistics and the corresponding p-values for each of the possible pairs of competing models. Interestingly, for all the considered risk levels and for all the three CAViaR specifications, we are always able to reject the null hypothesis at 5% level, providing evidence of the efficiency gain of our proposed joint approachAs a further robustness check, we have also considered the best CAViaR specification for each asset and then applied the [1]} test. The proposed joint method still appears to be more efficient than the univariate one of [2]}, making our findings unchanged..
